Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0562
Annualized Std Dev 0.1618
Annualized Sharpe (Rf=0%) -0.3474

Row

Daily Return Statistics

Close
Observations 3561.0000
NAs 1.0000
Minimum -0.1839
Quartile 1 -0.0035
Median 0.0000
Arithmetic Mean -0.0002
Geometric Mean -0.0002
Quartile 3 0.0036
Maximum 0.1348
SE Mean 0.0002
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0002
Variance 0.0001
Stdev 0.0102
Skewness -1.0946
Kurtosis 50.7707

Downside Risk

Close
Semi Deviation 0.0075
Gain Deviation 0.0080
Loss Deviation 0.0091
Downside Deviation (MAR=210%) 0.0124
Downside Deviation (Rf=0%) 0.0076
Downside Deviation (0%) 0.0076
Maximum Drawdown 0.7254
Historical VaR (95%) -0.0131
Historical ES (95%) -0.0249
Modified VaR (95%) -0.0094
Modified ES (95%) -0.0094
From Trough To Depth Length To Trough Recovery
2007-02-08 2020-03-18 NA -0.7254 3554 3300 NA
2007-01-30 2007-01-31 2007-02-01 -0.0030 3 2 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 0.7 -0.9 0.4 1 1.7 -1.9 -0.8 1.6 -0.2 -0.8 -0.3 0.4 0.7
2008 0.5 -0.9 0.4 0.5 1.5 -0.8 1.3 0.7 -1.1 0.4 -4.1 1.8 0
2009 -1.3 -1.6 1 -0.2 1.3 0.4 1.7 -2 -0.5 -1.1 0.9 -0.2 -1.7
2010 0 0.4 0.2 -0.3 -0.4 -0.7 0.6 1 0.9 -0.1 1.4 0.8 4
2011 0.3 0 0.2 0.1 -0.3 0.3 0.6 -0.9 -1.2 -0.3 -0.2 0.2 -1.2
2012 0.9 0.8 0 0.6 -0.8 0.5 0.3 0 0.1 1.3 0.1 0.8 4.5
2013 0.2 0.3 -0.2 -0.3 0.3 1.5 0.2 0.7 -0.4 0.2 0.4 -0.3 2.6
2014 0 0.1 0.2 0.2 0.7 0.3 -0.2 -0.1 -0.7 0.2 -0.6 -0.1 -0.1
2015 -0.3 0.1 -0.1 0 0 1.5 0.3 -0.1 -0.8 -0.1 0.3 -0.5 0.2
2016 -0.1 0.2 -0.2 0.1 -0.2 0 0 0.1 0.6 -0.4 -0.1 -0.3 -0.3
2017 0.6 0.4 -0.3 -0.5 0.7 0.1 0.2 0.4 0 -0.9 0.8 -0.7 0.8
2018 0.1 0.6 0.5 0.5 0.4 0 0.5 0.4 -0.4 -0.3 0.1 1.4 4.1
2019 -0.4 -0.6 -0.6 0.2 -0.3 0.3 0.1 -0.3 -0.1 -0.1 0.3 1 -0.7
2020 -0.5 -1.1 -4.1 0 -0.1 0 0.1 0.2 0.4 0.7 -0.1 0.1 -4.4
2021 0.6 -0.3 0.7 NA NA NA NA NA NA NA NA NA 0.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-01-26  20   SPY    142. -0.0007  -0.0046   0.01     0.031     0.122    0.227    0.252 GLD    64.1  6.00e-4   0.0175
2 2007-01-29  20.1 SPY    142. -0.0008  -0.0023   0.0033   0.0267    0.115    0.239    0.251 GLD    63.8 -5.10e-3   0.0167
3 2007-01-30  20.0 SPY    143.  0.0052  -0.0001   0.002    0.0289    0.111    0.260    0.254 GLD    64.2  7.10e-3  -0.0002
4 2007-01-31  20   SPY    144.  0.0067  -0.0014   0.0108   0.0423    0.119    0.267    0.304 GLD    64.8  9.50e-3   0.0078
5 2007-02-01  20.1 SPY    145.  0.006    0.0165   0.0211   0.0493    0.134    0.274    0.293 GLD    65.2  6.00e-3   0.0181
6 2007-02-02  20.4 SPY    145.  0.0014   0.0186   0.0243   0.0509    0.128    0.271    0.280 GLD    64.3 -1.44e-2   0.0028
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart